You can add this to your blog too: Add Windows Live Messenger to your Blog
It is a simple matter of going to the above live.com (obviously, log in with your Live ID) and using the simple online form to configure your Messenger web widget.
The really, really cool thing is that you can have either a chat window, or your presence live on your blog.
For more indepth how-tos, visit Aussie Angus Logan's blog.